The interest of the pharmaceutical industry in lipid drug delivery systems due to their prolonged release profile, biocompatibility, reduction of side effects, and so on is already known. However, conventional methods of preparation of these structures for their use and production in the pharmaceutical industry are difficult since these methods are usually multi-step and involve high amount of organic solvent. Furthermore, some processes need extreme conditions, which can lead to an increase of heterogeneity of particle size and degradation of the drug. An alternative for drug delivery system production is the utilization of supercritical fluid technique. Lipid particles produced by supercritical fluid have shown different physicochemical properties in comparison to lipid particles produced by classical methods. Such particles have shown more physical stability and narrower size distribution. So, in this paper, a critical overview of supercritical fluid-based processes for the production of lipid micro- and nanoparticles is given and the most important characteristics of each process are highlighted.